Abstract #301959

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JSM 2002 Abstract #301959
Activity Number: 204
Type: Topic Contributed
Date/Time: Tuesday, August 13, 2002 : 10:30 AM to 12:20 PM
Sponsor: Business & Economics Statistics Section*
Abstract - #301959
Title: Comparison of Time Series Characteristics for Seasonal Adjustments from SEATS and X-12-ARIMA
Author(s): Catherine Hood*+
Affiliation(s): U.S. Census Bureau
Address: ESMPD Room 3110/4, Washington, DC, 20233-6200, USA
Keywords: seasonal adjustment ; time series
Abstract:

Two widely-used seasonal adjustment programs are the U.S. Census Bureau's X-12-ARIMA and the SEATS program for ARIMA-model-based signal extraction written by Agustin Maravall. In previous studies with SEATS and X-12-ARIMA, we found some series where the adjustment from SEATS had smaller revisions than the adjustment from X-12-ARIMA. Based on our previous work, and some theoretical results from Martin and Findley, we will investigate the properties of a time series make it a good candidate for adjustment by SEATS or by X-12-ARIMA. We will use a version of X-12-ARIMA that has access to the SEATS algorithm. This will allow us to compute similar diagnostics for both programs, including sliding spans and revision diagnostics, so we can compare adjustments between the two programs.

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Revised March 2002